Pair Correlation Between Microsoft and Exxon

This module allows you to analyze existing cross correlation between Microsoft Corporation and Exxon Mobil Corporation. You can compare the effects of market volatilities on Microsoft and Exxon and check how they will diversify away market risk if combined in the same portfolio for a given time horizon. You can also utilize pair trading strategies of matching a long position in Microsoft with a short position of Exxon. See also your portfolio center.Please also check ongoing floating volatility patterns of Microsoft and Exxon.
Investment Horizon     30 Days    Login   to change
 Microsoft Corp.  vs   Exxon Mobil Corp.
 Daily Returns (%) 
Benchmark  Embed   Timeline 

Pair Volatility

If you would invest  8,750  in Exxon Mobil Corporation on November 2, 2016 and sell it today you would earn a total of  0.00  from holding Exxon Mobil Corporation or generate 0.0% return on investment over 30 days.
Correlation Coefficient
Pair Corralation between Microsoft and Exxon
0.0

Parameters

Time Period1 Month [change]
DirectionFlat 
StrengthInsignificant
Accuracy4.55%
ValuesDaily Returns

Diversification

Pay attention

Overlapping area represents amount of risk that can be diversified away by holding Microsoft Corp. and Exxon Mobil Corp. in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Exxon Mobil and Microsoft is a relative statistical measure of the degree to which these equity instruments tend to move together. The correlation coefficient measures the extent to which returns on Microsoft Corporation are associated (or correlated) with Exxon. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Exxon Mobil has no effect on the direction of Microsoft i.e. Microsoft and Exxon go up and down completely randomly.

Pair indicators

Mean
Deviation
Jensen
Alpha
Sortino
Ratio
Treynor
Ratio
Semi
Deviation
Information
Ratio
Expected
Shortfall
Potential
Upside
Value
At Risk
Maximum
Drawdown
 0.97 (0.01) 0.00  0.17  0.00 (0.15) 0.00  1.69 (1.83) 5.37 
 0.00  0.00  0.00  0.00  0.00  0.00  0.00  0.00  0.00  0.00 

Comparative Volatility

Microsoft

  

Risk-adjusted Performance

Over the last 30 days Microsoft Corporation has generated negative risk-adjusted returns adding no value to investors with long positions.